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Harmonization of product classifications : a consistent time series of economic trade activities

Baumgartner, Christoph; Srhoj, Stjepan; Walde, Janette - 2022

Firm-product data provide information for various research questions in international trade or innovation economics. However, working with this data requires harmonizing product classifications consistently over time to avoid internal validity issues. The researcher must consider product code...

Persistent link: https://www.econbiz.de/10013274277

Testing for Granger causality with mixed frequency data

Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - In: Journal of econometrics 192 (2016) 1, pp. 207-230

Persistent link: https://www.econbiz.de/10011617146

Realized density estimation using intraday prices

Arnerić, Josip - In: Croatian review of economic, business and social … 6 (2020) 1, pp. 1-9

with respect to the bandwidth selection as well as the sampling frequency selection. The main finding is that the kernel … bandwidth is strongly related to the sampling frequency at the slow-time-time scale when applying a two-scale estimator, while … the fast-time-time scale sampling frequency is held fixed. The realized kernel density estimation enriches the literature …

Persistent link: https://www.econbiz.de/10012264979

Precision-based sampling with missing observations : a factor model application

Hauber, Philipp; Schumacher, Christian - 2021

states and model variables, which is sparse and banded in many economic applications and allows for efficient sampling. The … existing literature on precision-based sampling is focused on complete-data applications, whereas the proposed samplers in this …

Persistent link: https://www.econbiz.de/10012510141

Variable selection in high dimensional linear regressions with parameter instability

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2023

This paper is concerned with the problem of variable selection when the marginal effects of signals on the target variable as well as the correlation of the covariates in the active set are allowed to vary over time, without committing to any particular model of parameter instabilities. It poses...

Persistent link: https://www.econbiz.de/10013494088

Variable selection and forecasting in high dimensional linear regressions with structural breaks

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

Persistent link: https://www.econbiz.de/10012258549

Combining p-values for Multivariate Predictive Ability Testing

Spreng, Lars; Urga, Giovanni - 2022

In this paper, we propose an intersection-union test for multivariate forecast accuracy based on the combination of a sequence of univariate tests. The testing framework evaluates a global null hypothesis of equal predictive ability using any number of univariate forecast accuracy tests under...

Persistent link: https://www.econbiz.de/10013292396

Internet Appendix to Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference

Xiong, Ruoxuan; Pelger, Markus - 2021

The Internet Appendix collects the proofs and additional results that support the main text. We show in simulations that our estimators perform well relative to alternative estimators and can be improved even further with an iterative approach. We also confirm that the distribution results,...

Persistent link: https://www.econbiz.de/10013251067

Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference

Xiong, Ruoxuan - 2020

This paper develops the inferential theory for latent factor models estimated from large dimensional panel data with missing observations. We propose an easy-to-use all-purpose estimator for a latent factor model by applying principal component analysis to an adjusted covariance matrix estimated...

Persistent link: https://www.econbiz.de/10012847447

A time series approach to estimate discontinuities due to a survey redesign

Brakel, Jan A. van den; Roels, Joeri - 2009

Persistent link: https://www.econbiz.de/10003863474